Great article on how Windows Azure Web Sites: How Application Strings and Connection Strings Work.
Windows Azure Web Sites has a handy capability whereby developers can store key-value string pairs in Azure as part of the configuration information associated with a website. At runtime, Windows Azure Web Sites automatically retrieves these values for you and makes them available to code running in your website. Developers can store plain vanilla key-value pairs as well as key-value pairs that will be used as connection strings.
Since the key-value pairs are stored behind the scenes in the Windows Azure Web Sites configuration store, the key-value pairs don’t need to be stored in the file content of your web application. From a security perspective that is a nice side benefit since sensitive information such as Sql connection strings with passwords never show up as cleartext in a web.config or php.ini file.